杭州师范大学学报（自然科学版）2017，Vol.16Issue(3)：301-306,6.DOI:10.3969/j.issn.1674-232X.2017.03.014
双分数布朗运动模型下后定选择权定价
Chooser Option Pricing on Bi-fractional Brown Motion Model
摘要
Abstract
In order to better fit the actual situation of the stock market price change progress,this paper assumes that the stock price submits to the stochastic differential equation driven by bi-fractional Brownian,the expected yield rate and interest rate are non-stochastic function of time,and makes volatility as the constant.The financial mathematical model in the bi-fractional Brownian motion environment is established.The pricing problem of chooser option is discussed using the actuarial approach,and the pricing formula of the chooser option in bi-fractional Brownian motion environment is obtained.Finally,basing on the pricing formula,the sensitivity of chooser option with respect to parameter S,T,t*,σ,r is analyzed,and the influence level of each parameter on option pricing is provided.关键词
双分数布朗运动/后定选择权/保险精算/随机微分方程Key words
bi-fractional Brownian motion/chooser option/actuarial approach/stochastic differential equation分类
管理科学引用本文复制引用
薛红,王银利..双分数布朗运动模型下后定选择权定价[J].杭州师范大学学报（自然科学版）,2017,16(3):301-306,6.基金项目
陕西省自然科学基金项目(2016JM1031) （2016JM1031）
陕西省教育厅专项科研基金项目(14JK1299). （14JK1299）
